bayesianVARs (Q5977685)
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MCMC Estimation of Bayesian Vectorautoregressions
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | bayesianVARs |
MCMC Estimation of Bayesian Vectorautoregressions |
Statements
Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2023) <arXiv:2206.04902>. Efficient equation-per-equation estimation following Kastner & Huber (2020) <doi:10.1002/for.2680> and Carrerio et al. (2021) <doi:10.1016/j.jeconom.2021.11.010>.
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20 January 2024
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